unknown file .exe on my Note 3

First off, I'm sorry if this is a dumb question.
I have Avast Cleanup on my phone (Note 3) and noticed this ... file(?) on my phone which I am afraid to click on to open. I opened the 'details' and this is what came up
/storage/emulated/0/Download/mbam-setup-2.2.1. 1043.exe
what is this? Should I delete it? Leave it?
Help!

mbam is Malwarebytes. However, it shouldn't be on your phone as an .exe file unless you somehow put it there while connected to your computer. The version you noted is the latest PC version of the software. You can safely delete it.